Real interest parity: A note on Asian countries using panel stationarity tests
AbstractExisting panel data studies of real interest parity are either unable to identify which panel members are characterised by stationary real interest differentials, or are subject to size distortion resulting from the presence of structural breaks and cross-sectional dependencies. Using a panel stationarity testing procedure recently advocated by Hadri and Rao (2008) that allows for structural breaks and cross-sectional dependency, we are unable to reject the stationarity of Asian real interest rate differentials.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Asian Economics.
Volume (Year): 22 (2011)
Issue (Month): 6 ()
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Web page: http://www.elsevier.com/locate/asieco
Heterogeneous dynamic panels; Real interest parity; Mean reversion; Panel stationarity test;
Other versions of this item:
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 1117, Koc University-TUSIAD Economic Research Forum.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests," Working Paper Series 23_11, The Rimini Centre for Economic Analysis.
- Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2011. "Real Interest Parity: A note on Asian countries using panel stationarity tests," Discussion Paper Series 2011_06, Department of Economics, University of Macedonia, revised May 2011.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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